An effective method to reduce the computational complexity of composite quantile regression

DOI10.1007/S00180-017-0749-8MaRDI QIDQ1695421zbMATH OpenOpenAlexFDO

Authors Yanke Wu, Maozai Tian

Publication date 7 February 2018

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-017-0749-8

zbMATH Keywords

computational complexitylinear programmingquantile regressioncomposite quantile regressiondual problem

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Complexity and performance of numerical algorithms (65Y20)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A note on L-estimates for linear models
• Bayesian quantile inference
• Bayesian quantile regression
• Bayesian quantile regression for censored data
• Composite quantile regression and the oracle model selection theory
• Gibbs sampling methods for Bayesian quantile regression
• Hierarchical linear regression models for conditional quantiles
• Linear quantile regression based on EM algorithm
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• Quantile regression.
• Quantile smoothing splines
• Regression Quantiles
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(2)

• An adaptive composite quantile approach to dimension reduction
• High-dimensional composite quantile regression: optimal statistical guarantees and fast algorithms

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